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|Title:||Shall we buy and hold? Evidence from Asian real estate markets||Authors:||Hui, E
Securitized real estate index
|Issue Date:||2014||Publisher:||Emerald Group Publishing Limited||Source:||Journal of property investment and finance, 2014, v. 32, no. 2, p. 168-186 How to cite?||Journal:||Journal of property investment and finance||Abstract:||Purpose: The purpose of this study is to verify whether the trading strategy can beat the "buy-and-hold" strategy for the securitized real estate indices of six Asian economies: Hong Kong, China, Japan, Taiwan, Thailand and Malaysia.
Design/methodology/approach: This paper constructs a trading strategy from the Shiryaev-Zhou index and tests the strategy on the securitized real estate indices of six emerging Asian economies: Hong Kong, China, Japan, Taiwan, Thailand and Malaysia. The authors compare the resulting profits from using the trading strategy with the resulting profits from using the "buy-and-hold" strategy. The authors consider three cases: no transaction costs, 0.1 percent transaction costs, and 0.2 percent transaction costs. Findings: The results show that the trading strategy the authors constructed generally outperforms the "buy-and-hold" strategy even in the presence of transaction costs. In particular, the authors have a new finding as follows: Thailand and Malaysia's securitized real estate indices fell drastically during the period of observation. However, applying the trading strategy to these two securitized real estate indices can still earn a profit.
Practical implications: The trading strategy is particularly useful in protecting investors from huge loss in adverse market conditions. The results can be applied to the field of finance/investment that investors can construct a trading strategy similar to the authors to earn more profits.
Originality/value: This study will consider cases where both buying and selling costs exist, so the scenario is more like stock transactions in real-life equity markets. Furthermore, in this paper, for each securitized real estate index, the authors plot a graph to show the holding and non-holding periods under the trading strategy. This would help the authors explain the resulting profit under the trading strategy. This kind of graphical analysis was neglected by Hui and Yam.
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